http://www.cmegroup.com/trading/ene...tml?optionProductId=2801#optionProductId=2801

It will essentially follow these rules.

- The contract will last for 6 months
- The payoff is the difference between the first of month index vs gas daily settle price. For example if the first of month index is 3 dollars, the option pays the difference everyday the settle...

Pricing Gas Daily vs First of Month Options]]>

The intuition is that after the election of a liberal president in 2015, the equity market in Argentina changed, and so the beta to the world (I use MSCI World as market index)

What triggered this research is the basic chart of the two stocks

View attachment 23606 and View attachment 23607

(Argentina) (world)

View attachment 23606

If we see that roughly in...

Beta Break and Parameter Stability]]>

I would like to have this brief exercise on future derivatives and basis risk solved because, although various trials, i cannot find the exact solution.

In February of the year N a farmer expects that his wheat, next July, will be 232,000 bushels.

For the hedge the farmer uses the CME where the wheat futures are traded with volume 5,000 bushels and the closest maturity is August.

Since there is a significant difference between the quality of the wheat in the contract and that...

short heding and basis risk]]>

or page 12 here:

http://janroman.dhis.org/finance/SABR/SABR.pdf

Let's say I have the SABR parameters (for instance T=1, alpha=25%, Beta=0.5, rho = 0.5, spot = 100) given. Can anyone please explain and hopefuly provide a...

Monte Carlo simulation for SABR]]>

Can people in here suggest reading materials in form of articles/academic paper and so on (not books) who put words to the equations and gives INTUITION explanations about local and stochastic vol.

I am...

Reading material for understanding Local Volatility]]>

Call swaption is "option to pay floating and receive fixed", while I also see the opposite definition("pay fixed") from a lot of places.

What's the definition in the industry? Conventionally, people treat it as a call on bond or a call on interest rate?]]>

Thanks in advance!]]>

Haven't touched IRS or DCF since college so I'm a bit rusty. Would somebody be able to help me with this please? I can't imagine it will take longer than 5 minutes, but I can't quite remember if I'm doing it right.

For the following deal, please could you help me work out the MTM & Delta?

General Swap Details

CCY EUR

Notional 19,550,000

Effective Date 25/10/2015

Tenor 5 years

Payment Frequency Quarterly

Fixed Amounts

Fixed Rate Payer Client

Fixed Rate 0.638%

Day Count Fraction 30/360...

URGENT - Easy IRS DCF Question Help]]>

SPS1 = [ (0; 1) = 0:031; i (0; 2) = 0:033; i (0; 3) = 0:04; i (0; 4) = 0:042; i (0; 5) = 0:045]

SPS2 = [(0; 1) = 0:012; i (0; 2) = 0:02; i (0; 3) = 0:031; i (0; 4) = 0:04; i (0; 5) = 0:045]

Now, my...

Basis Swap]]>

Please, could someone suggest a way to price it in function of the actual listed price (of real stocks) and an expected listing date fo those shares.]]>

i'm a 23 year old student in finance and i wanted to know if some of you were familiar to that kind of exercise and if it is the case i would love to get a little help on an assignment that i'am struggling to finish.

I was given this spreadsheet with only the "price" part and i was told by the teacher to define an investing strategy based on time series momentum with the end goal to optimize my sharpe ratio.

But i've been struggling for the past week to achieve a good sharp...

Sharpe Ratio optimisation / Asset allocation / based on Time series]]>

Thanks!]]>

Does anyone have suggestions on quantitative ETF model designs that are based on solid research, design, and testing?

These two are interesting to me:

1.) HTUS, which is based on this paper:

A Practitioner's Defense of Return Predictability by Blair Hull, Xiao Qiao :: SSRN

The equity curve of HTUS seems very...

Quant ETFs]]>

Volatility Clustering and Piecewise Homoscedasticity - Part I - Indices]]>

" Simulate 1000 conditional paths 30 steps ahead for any given series conditioned on 5yr US Treasury yields being at 6%"

If the path is not conditioned, what I did was:

1.calculate the differences of the yield values (in the past) day by day....

yield prevision CONDITIONED on 5yr US Treasury yields being at 6%]]>

I am trying to implement Student t copula in excel to price some basket default swap...

However, i just cant seems to get it to work in excel at low degree of freedom, v....just wondering what i do wrong...

Here is the step i took

1) Derive Cholesky decomposition A from the correlation matrix

2) Generate n number of independent standard random variables Z

3) Set x = A*Z

4) Generate a random variate s from chi squared distribution with degree of freedom v.

5) Set y = x*sqrt(v/s)...

Student t copula in Excel]]>

I want to be able to link to either a chart or a raw data page for any symbol/date combination.

For example, if I want to see the intraday price action for AAPL on November 3, 2015, I want a URL I can click such as:

Default title | Domain.com

and then I can see either a chart or the raw price action data. Chart...

Need URL to show intraday historical price action]]>

Question about binomial pricing examples on investopedia.com]]>